Abnormal return of Indonesian banking shares in the time of COVID 19

An event study on the announcement of government regulation, POJK 11 of 2020

Authors

DOI:

https://doi.org/10.20525/ijrbs.v9i7.964

Keywords:

Abnormal Return, Covid 19, Banking , Monetary Health

Abstract

With the pandemic Covid, the Indonesian government issued a fiscal policy through the Financial Services Authority (POJK 11 2020) on National Economic Stimulus as Policy Countercyclical Impact Deployment Coronavirus Disease, 2019. This study analyzes the reaction markets banking sector in Indonesia to the event announcement publication of these regulations. This quantitative study uses the Event Study methodology. This study uses abnormal return testing events on secondary data 45 Indonesian banks listed on the Jakarta Stock Exchange. The method of calculating the abnormal return uses the Market Model, with an estimated period of 21 days and a window period of 11 days. The research period was carried out between February 11 and March 20, 2020. The test carries out with an average of difference test before and after the event, with an error rate of 5%. Based on the cumulative abnormal return t-test, data shows that from minus five days, the regulation's announcement up to 5 days after which the market moves significantly negative. This event study is a news phenomenon of Indonesia's latest financial policies related to banking stocks during the Covid pandemic.

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Published

2020-12-12 — Updated on 2020-12-13

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How to Cite

Handayani, E., Rahmawati, A. ., Haryanto, E., & Wahyuni, S. (2020). Abnormal return of Indonesian banking shares in the time of COVID 19: An event study on the announcement of government regulation, POJK 11 of 2020. International Journal of Research in Business and Social Science (2147- 4478), 9(7), 108–114. https://doi.org/10.20525/ijrbs.v9i7.964 (Original work published December 12, 2020)

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Section

Special Topics in Financial Ecosystem